Browsing Masters Theses by Thesis Supervisor "Zhang, Wenjun"
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Option Pricing Under the Heston-CIR Model with Stochastic Interest Rates and Transaction Costs
(Auckland University of Technology, 2019)The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing formula for European options with the underlying price following a geometric Brownian motion. In a realistic market with ...